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A Time Series Analysis of Financial Fragility in the UK Banking System

Author

Listed:
  • Dimitrios P Tsomocos
  • Charles A.E. Goodhart
  • Bank of England
  • London School of Economics
  • and Financial Markets Group
  • Pojanart Sunirand
  • Bank of England

Abstract

This paper extends the model proposed by Goodhart, Sunirand, and Tsomocos (2003, 2004a,b) to an infinite horizon setting. Thus, we are able to assess how the model conforms with the time series data of the U.K. banking system. We conclude that, since the model performs satisfactorily, it can be readily used to assess financial fragility given its flexibility, computability, and the presence of multiple contagion channels and heterogeneous banks and investors.

Suggested Citation

  • Dimitrios P Tsomocos & Charles A.E. Goodhart & Bank of England & London School of Economics & and Financial Markets Group & Pojanart Sunirand & Bank of England, 2004. "A Time Series Analysis of Financial Fragility in the UK Banking System," Economics Series Working Papers 2004-FE-18, University of Oxford, Department of Economics.
    • Handle: RePEc:oxf:wpaper:2004-fe-18
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    JEL classification:

    • C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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